CAViar : conditional value at risk by quantile regression

CAViar : conditional value at risk by quantile regression

Bibliografiska uppgifter
Huvudupphovsman: Engle, Robert F.
Övriga upphovsmän: Manganelli, Simone
Materialtyp: Bok
Språk:English
Publicerad: Cambridge National Bureau of Economic Research 1999.
Serie:NBER working paper series no.7341
Ämnen:
Financial futures > Econometric models.
Rate of returns > Forecasting > Econometric models.
Parameter estimation.
Stock price forecsating > Econometric models.